Chris Kenyon

MUFG Securities EMEA plc

25 Ropemaker St

London, EC2Y 9AJ

United Kingdom

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 3,314

SSRN RANKINGS

Top 3,314

in Total Papers Downloads

14,080

SSRN CITATIONS
Rank 11,513

SSRN RANKINGS

Top 11,513

in Total Papers Citations

24

CROSSREF CITATIONS

83

Scholarly Papers (34)

1.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Andrew David Green, Chris Kenyon and Chris Dennis
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 3,317 (4,117)
Citation 47

Abstract:

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Capital, Pricing, Regulation, Basel II, Basel III, Derivative Valuation, xVA, CVA, DVA, FVA, FCA, KVA

2.

Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis

Risk, November 2010
Number of pages: 15 Posted: 24 Feb 2010 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 1,246 (20,015)
Citation 13

Abstract:

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Credit Crisis, Liquidity Crisis, Forward Curve, Discount Curve, Basis Swaps, Bootstrapping, Swaps, Swaptions, Counterparty Risk, CVA, Multi-Curve Term Structure Modeling, Closed Form Formulas

3.

MVA: Initial Margin Valuation Adjustment by Replication and Regression

Number of pages: 15 Posted: 04 May 2014 Last Revised: 13 Jan 2015
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 1,118 (23,535)
Citation 12

Abstract:

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MVA, IM, FVA, BCBS-261, margins, non-centrally cleared derivatives, VAR, Longstaff-Schwartz, GPU, CCPs, Central Clearing

4.

Pricing Covered Bonds

In Proceedings: C.R.E.D.I.T. 2009.
Number of pages: 20 Posted: 16 May 2009 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 899 (32,226)
Citation 1

Abstract:

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covered bonds, pricing, CDO, factor model, copula, issuer risk

5.

Inflation is Normal

Risk, July 2008
Number of pages: 15 Posted: 23 Apr 2008 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 704 (44,999)
Citation 10

Abstract:

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Inflation, option pricing, normal, volatility smile modeling, inflation derivatives

6.

Accounting for KVA under IFRS 13

Risk, March 2016 (shortened version)
Number of pages: 15 Posted: 20 Jun 2015 Last Revised: 29 Feb 2016
Richard Kenyon and Chris Kenyon
Aston University and MUFG Securities EMEA plc
Downloads 690 (46,220)
Citation 3

Abstract:

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KVA, Accounting, Basel III, IFRS 13

7.

Portfolio KVA: I Theory

Number of pages: 17 Posted: 06 Nov 2014
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 541 (63,172)
Citation 2

Abstract:

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KVA, CVA, FVA, TVA, XVA, Leverage Ratio, Regulatory Capital, Return on Capital, Basel II, Basel III, CRD IV, Regulation, Pricing, Derivative Valuation

8.

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Number of pages: 25 Posted: 16 Sep 2009
Quaternion Risk Management, University of Limerick, Ireland, MUFG Securities EMEA plc and Quaternion Risk Management
Downloads 504 (68,969)

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cashflow CDO, CLO, tranche, pricing, derivatives, credit, Monte Carlo, simulation

9.

Accounting for Derivatives with Initial Margin Under IFRS 13

Number of pages: 13 Posted: 23 Nov 2016
Richard Kenyon and Chris Kenyon
Aston University and MUFG Securities EMEA plc
Downloads 465 (76,226)
Citation 1

Abstract:

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MVA, Bilateral Initial Margin, BCBS-317, IFRS, Fair Value, Accounting, Non-Centrally Cleared Derivatives

10.

Efficient XVA Management: Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Number of pages: 17 Posted: 18 Dec 2014 Last Revised: 23 Dec 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 438 (81,733)
Citation 2

Abstract:

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Portfolio management, hedging, attribution, XVA, CVA, DVA, FVA, FCA, FBA, KVA, MVA, TVA, VAR, SVAR, Expected Shortfall, ES, CVAR, Regression, Longstaff-Schwartz, Stress Testing, AAD, AD

11.

Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation

Number of pages: 21 Posted: 26 Aug 2008
Chris Kenyon
MUFG Securities EMEA plc
Downloads 428 (84,028)
Citation 1

Abstract:

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exotic options, option pricing, without simulation, volatility smiles

12.

CDS Pricing Under Basel III: Capital Relief and Default Protection

Risk (shortened version appeared October 2013)
Number of pages: 16 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 359 (102,898)
Citation 4

Abstract:

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CDS, Basel III, capital, capital relief, incomplete markets, IMM, CEM, regulations, hazard rates, CVA

13.

Which Measure for PFE? The Risk Appetite Measure A

Number of pages: 14 Posted: 17 Dec 2015
MUFG Securities EMEA plc, Scotiabank and Lloyds Banking Group
Downloads 290 (129,680)
Citation 7

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Risk, Pricing, PFE, VaR, ES, IMM, CVA, Measures, Risk Appetite

14.

Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Number of pages: 19 Posted: 17 Sep 2010
Chris Kenyon
MUFG Securities EMEA plc
Downloads 290 (129,680)
Citation 8

Abstract:

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CVA, Bilateral CVA, Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Interest Rate Swaps, Interest Rate Derivatives, Credit Valuation Adjustment, Bilateral Risk, Credit Spread Volatility, Wrong Way Risk, Goodwill, Equity

15.

Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences

Risk, February 2015 (shortened version)
Number of pages: 15 Posted: 12 Jul 2014 Last Revised: 16 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 232 (162,196)

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CVA, DVA, FVA, KVA, Partial Hedging, Tax, Replication, CDS, Default, Counterparty Credit Risk, TVA

16.

Will Central Counterparties Become the New Rating Agencies?

Risk (shortened version appeared September 2013)
Number of pages: 6 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 193 (192,669)
Citation 2

Abstract:

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central counterparty, CCP, collateral, rating agency, financial crisis, privileged prices, over-reliance, business model, oligopoly, systemic risk, regulation, Basel III

17.

XVA at the Exercise Boundary

Number of pages: 13 Posted: 27 Jul 2016 Last Revised: 08 Aug 2016
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 189 (196,359)
Citation 2

Abstract:

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XVA, CVA, FVA, MVA, KVA, Options, Exercise, Boundary, Secured Trades, Regression

18.

VAR and ES/CVAR Dependence on Data Cleaning and Data Models: Analysis and Resolution

Number of pages: 22 Posted: 31 May 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 186 (199,152)
Citation 1

Abstract:

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VaR, Expected Shortfall, ES, Conditional VaR, CVAR, Stress, sVaR, sES, data cleaning, Data Model, standardization, Basel III, SIMM

19.

Revising SA-CCR

Number of pages: 20 Posted: 25 Feb 2019 Last Revised: 10 Apr 2019
Mourad Berrahoui, Othmane Islah and Chris Kenyon
Lloyds Banking Group, Lloyds Banking Group and MUFG Securities EMEA plc
Downloads 183 (202,037)
Citation 2

Abstract:

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Regulation, Capital, SA-CCR, Counterparty Credit Risk, Hull-White, Gaussian Market Model

20.

Dirac Processes and Default Risk

Number of pages: 33 Posted: 11 Apr 2015 Last Revised: 17 Apr 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 182 (203,026)

Abstract:

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Dirac processes, Dirac delta function, derivative pricing, default risk, CDS, implied volatility, CDS swaptions, option pricing

21.

Regulatory-Compliant Derivatives Pricing Is Not Risk-Neutral

Risk (Sept 2014)
Number of pages: 12 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 171 (214,293)
Citation 3

Abstract:

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Risk-neutral pricing, Regulators, regulations, FVA, CVA, capital, incomplete markets

22.

Climate Change Valuation Adjustment (CCVA) Using Parameterized Climate Change Impacts

Number of pages: 22 Posted: 23 Feb 2021 Last Revised: 10 May 2021
Chris Kenyon and Mourad Berrahoui
MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 165 (220,819)

Abstract:

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XVA, credit, funding, CVA, FVA, climate change, CDS, extrapolation, hazard rate

23.

Option-Based Pricing of Wrong Way Risk for CVA

Number of pages: 14 Posted: 27 Jul 2016 Last Revised: 04 Oct 2016
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 147 (243,180)
Citation 2

Abstract:

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Wrong Way Risk, WWR, Credit Valuation Adjustment, CVA, Model-Free, Hedging, Options

24.

DVA for Assets

Risk, February 2013
Number of pages: 16 Posted: 23 Jan 2013
Chris Kenyon and Richard Kenyon
MUFG Securities EMEA plc and Aston University
Downloads 145 (245,887)

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CVA, DVA, FVA, corporate finance, hedging, Goodwill, assets, derivatives, accounting, tax

25.

A Short Note on Market-Consistent Calibration of Static Recovery Rates

In proceedings: International Conference on Operations Research, 2011.
Number of pages: 9 Posted: 12 Feb 2010 Last Revised: 13 Aug 2014
Chris Kenyon and Ralf Werner
MUFG Securities EMEA plc and Universität Augsburg
Downloads 138 (255,769)

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recovery rates, CDS, stochastic models, CDO

26.

Collateral-Enhanced Default Risk

Number of pages: 12 Posted: 31 Jan 2013
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 134 (261,696)
Citation 1

Abstract:

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centeral counterparties, derivatives clearing, CVA, collateral, default, margining, risk transmission

27.

Self-Financing Trading and the Ito-Doeblin Lemma

Number of pages: 3 Posted: 13 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 132 (264,641)

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self-financing trading strategy; stochastic calculus; finance; hedging

28.

Behavioural Effects on XVA

Number of pages: 13 Posted: 10 Mar 2018
Chris Kenyon and Hayato Iida
MUFG Securities EMEA plc and MUFG Securities EMEA plc
Downloads 130 (267,714)
Citation 2

Abstract:

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XVA, CVA, MVA, FVA, KVA, Default, Hedging, Replication

29.

Counterparty Trading Limits Revisited: CSAs, IM, SwapAgent®, from PFE to PFL

Shortened version in Risk, Forthcoming
Number of pages: 14 Posted: 10 Oct 2017 Last Revised: 25 Nov 2018
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
MUFG Securities EMEA plc, Lloyds Banking Group and Lloyds Banking Group
Downloads 102 (317,996)

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PFE, exposure, CVA,initial margin, IM, SwapAgent, trading limits, capital

30.

Regulatory-Optimal Funding

Risk (shortened version appeared April 2014)
Number of pages: 20 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 97 (328,536)
Citation 1

Abstract:

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FVA, funding, Treasury, optimization, measures, regulations, out-of-sample

31.

Provably Linkable Trading

Quantitative Finance, online 2009, in print 2010
Number of pages: 20 Posted: 26 Oct 2009 Last Revised: 13 Aug 2014
Chris Kenyon and Jan Camenisch
MUFG Securities EMEA plc and IBM Corporation - IBM Zurich Research Laboratory
Downloads 90 (344,472)

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reputation, anonymity removal, verifiable random functions, cryptographic signatures, trading, upstairs markets, downstairs markets, exchanges

32.

Model Independent WWR for Regulatory CVA and for Accounting CVA and FVA

Number of pages: 17 Posted: 27 Mar 2020
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
MUFG Securities EMEA plc, Lloyds Banking Group and Lloyds Banking Group
Downloads 74 (386,693)

Abstract:

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XVA, CVA, FVA, WWR, Accounting, Regulations, Capital, Funding, Default, Model Independent, Credit

33.

Client Engineering of XVA in Crisis and Normality: Restructuring, Mandatory Breaks and Resets

Number of pages: 14 Posted: 10 Sep 2020 Last Revised: 28 Sep 2020
Chris Kenyon
MUFG Securities EMEA plc
Downloads 61 (428,028)

Abstract:

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XVA, credit, funding, crisis, mandatory break, reset, restructuring, hedging, client valuation, Covid-19

34.
Downloads 40 (512,372)
Citation 1

Abstract:

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Capital, Regulation, SA-CCR, Counterparty Credit Risk, Basel III

Other Papers (1)

Total Downloads: 30
1.

Exit Prices as Quantum States

Risk (shortened version appeared September 2014)
Number of pages: 3 Posted: 22 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 30

Abstract:

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Exit price, risk-neutral, CVA, FVA, KVA, leverage ratio, initial margin, price realization